Last, while the Gaussian autoregression copula—or indeed other Gaussian time series copulas, such as those based on Gaussian processes [1]}—produces a flexible family of
time series models, the form of serial dependence is still limited. For example, serial
dependence is both symmetric and has zero tail dependence, which are properties of the Gaussian copula. This motivates the
construction of more flexible time series copulas, as now discussed.
